Stellar loci are widely used for selection of interesting outliers, reddening determinations, and calibrations. However, hitherto the dependence of stellar loci on metallicity has not been fully explored and their intrinsic widths are unclear. In this paper, by combining the spectroscopic and re-calibrated imaging data of the SDSS Stripe 82, we have built a large, clean sample of dwarf stars with accurate colors and well determined metallicities to investigate the metallicity dependence and intrinsic widths of the SDSS stellar loci. Typically, one dex decrease in metallicity causes 0.20 and 0.02 mag decrease in colors u-g and g-r, and 0.02 and 0.02 mag increase in colors r-i and i-z, respectively. The variations are larger for metal-rich stars than for metal-poor ones, and for F/G/K stars than for A/M ones. Using the sample, we have performed two dimensional polynomial fitting to the u-g, g-r, r-i, and i-z colors as a function of color g-i and metallicity [Fe/H]. The residuals, at the level of 0.029, 0.008, 0.008 and 0.011 mag for the u-g, g-r, r-i, and i-z colors, respectively can be fully accounted for by the photometric errors and metallicity uncertainties, suggesting that the intrinsic widths of the loci are at maximum a few mmag. The residual distributions are asymmetric, revealing that a significant fraction of stars are binaries. In a companion paper, we will present an unbiased estimate of the binary fraction for field stars. Other potential applications of the metallicity dependent stellar loci are briefly discussed.